Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Dec 2004 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 63.00%
GLD SPDR Gold Shares 37.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VBMFX Vanguard Total Bond Market Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$47,883 10.23% 11.85%27.09%-21.47%-29.05% 0.781.240.83
Portfolio 2$10,000$19,595 4.27% 3.27%8.61%-2.26%-3.99% 0.911.63-0.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 19.01%22.43%13.96%14.19%10.03%10.23%13.73%11.35%
Portfolio 20.64%7.61%5.29%4.36%3.69%4.27%3.50%3.29%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2004 are based on monthly returns from December to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Vanguard Total Stock Market ETF (VTI)SPDR Gold Shares (GLD)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
2004-0.37%1.08%$10,1080.92%$10,0923.43%-2.93%0.92%
20053.42%10.55%$11,1742.40%$10,3336.31%17.76%2.40%
20062.54%18.23%$13,2114.27%$10,77515.69%22.55%4.27%
20074.08%14.65%$15,1466.92%$11,5205.37%30.45%6.92%
20080.09%-21.47%$11,8945.05%$12,102-36.98%4.92%5.05%
20092.72%27.09%$15,1165.93%$12,82128.89%24.03%5.93%
20101.50%21.81%$18,4136.42%$13,64417.42%29.27%6.42%
20112.96%4.15%$19,1767.56%$14,6750.97%9.57%7.56%
20121.74%12.81%$21,6324.05%$15,26916.45%6.60%4.05%
20131.50%10.59%$23,924-2.26%$14,92433.45%-28.33%-2.26%
20140.76%7.09%$25,6215.76%$15,78312.54%-2.19%5.76%
20150.73%-3.72%$24,6670.30%$15,8300.36%-10.67%0.30%
20162.07%11.05%$27,3942.50%$16,22512.83%8.03%2.50%
20172.11%18.10%$32,3533.46%$16,78721.21%12.81%3.46%
20181.91%-4.00%$31,058-0.13%$16,766-5.21%-1.94%-0.13%
20192.29%25.93%$39,1118.61%$18,20830.67%17.86%8.61%
20201.36%22.43%$47,8837.61%$19,59521.03%24.81%7.61%
Annual return for 2004 is from 12/01/2004 to 12/31/2004
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Total Stock Market ETF (VTI)SPDR Gold Shares (GLD)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
2004121.08%$10,1080.92%$10,0923.43%-2.93%0.92%
20051-2.91%$9,8140.65%$10,158-2.50%-3.61%0.65%
200522.46%$10,055-0.63%$10,0942.09%3.10%-0.63%
20053-1.78%$9,876-0.49%$10,044-1.87%-1.63%-0.49%
20054-0.93%$9,7841.35%$10,180-2.20%1.24%1.35%
200550.93%$9,8751.05%$10,2883.88%-3.92%1.05%
200562.03%$10,0760.55%$10,3440.76%4.30%0.55%
200572.24%$10,302-0.99%$10,2424.38%-1.43%-0.99%
20058-0.22%$10,2791.36%$10,381-1.09%1.35%1.36%
200593.25%$10,613-1.10%$10,2660.79%7.60%-1.10%
200510-1.71%$10,431-0.81%$10,183-2.35%-0.64%-0.81%
2005115.07%$10,9610.48%$10,2324.62%5.82%0.48%
2005121.95%$11,1740.99%$10,3330.02%5.05%0.99%
200615.70%$11,811-0.11%$10,3223.22%9.93%-0.11%
20062-0.29%$11,7760.37%$10,3610.22%-1.11%0.37%
200632.65%$12,088-1.00%$10,2582.05%3.62%-1.00%
200645.22%$12,720-0.21%$10,2360.96%12.03%-0.21%
20065-2.44%$12,409-0.09%$10,227-3.22%-1.32%-0.09%
20066-1.86%$12,1780.10%$10,2370.13%-4.67%0.10%
200671.20%$12,3241.35%$10,375-0.12%3.15%1.35%
200680.79%$12,4211.64%$10,5462.30%-1.38%1.64%
20069-0.47%$12,3630.81%$10,6312.26%-4.53%0.81%
2006102.67%$12,6930.72%$10,7073.53%1.29%0.72%
2006114.06%$13,2081.11%$10,8262.33%6.89%1.11%
2006120.02%$13,211-0.48%$10,7751.20%-1.83%-0.48%
200712.12%$13,491-0.08%$10,7661.86%2.56%-0.08%
20072-0.08%$13,4811.50%$10,928-1.62%2.55%1.50%
200730.27%$13,5170.02%$10,9301.12%-1.11%0.02%
200743.28%$13,9610.51%$10,9864.02%2.05%0.51%
200751.48%$14,168-0.78%$10,9013.72%-2.31%-0.78%
20076-1.82%$13,909-0.39%$10,858-1.76%-1.94%-0.39%
20077-1.43%$13,7110.84%$10,949-3.53%2.37%0.84%
200781.34%$13,8941.34%$11,0961.47%1.11%1.34%
200796.31%$14,7710.72%$11,1763.85%10.51%0.72%
2007103.78%$15,3290.93%$11,2801.79%6.95%0.93%
200711-3.38%$14,8111.91%$11,495-4.52%-1.65%1.91%
2007122.27%$15,1460.22%$11,520-0.70%6.65%0.22%
200810.13%$15,1661.69%$11,715-6.17%10.84%1.69%
200820.67%$15,2670.19%$11,737-2.50%5.23%0.19%
20083-3.08%$14,7970.30%$11,772-0.90%-6.00%0.30%
200841.13%$14,964-0.30%$11,7364.89%-4.16%-0.30%
200851.59%$15,201-0.79%$11,6442.02%0.92%-0.79%
20086-3.18%$14,718-0.01%$11,643-8.12%4.52%-0.01%
20087-0.97%$14,5750.00%$11,643-0.62%-1.44%0.00%
20088-3.06%$14,1300.70%$11,7251.46%-9.29%0.70%
20089-3.99%$13,566-1.10%$11,596-9.24%4.11%-1.10%
200810-16.91%$11,272-2.53%$11,302-17.48%-16.14%-2.53%
2008110.84%$11,3673.64%$11,713-8.01%12.57%3.64%
2008124.64%$11,8943.32%$12,1021.78%7.73%3.32%
20091-3.02%$11,534-0.70%$12,018-8.05%5.54%-0.70%
20092-5.71%$10,876-0.42%$11,967-10.53%1.45%-0.42%
200933.59%$11,2661.48%$12,1448.26%-2.54%1.48%
200945.15%$11,8470.36%$12,18810.99%-3.33%0.36%
200957.25%$12,7060.85%$12,2915.46%10.23%0.85%
20096-1.79%$12,4790.54%$12,3570.36%-5.22%0.54%
200975.75%$13,1961.43%$12,5347.74%2.38%1.43%
200982.40%$13,5121.01%$12,6613.71%0.05%1.01%
200994.74%$14,1521.19%$12,8114.14%5.84%1.19%
200910-0.37%$14,0990.41%$12,864-2.63%3.72%0.41%
2009118.32%$15,2711.36%$13,0395.69%12.79%1.36%
200912-1.02%$15,116-1.68%$12,8212.86%-7.20%-1.68%
20101-2.71%$14,7061.57%$13,022-3.57%-1.26%1.57%
201023.38%$15,2030.20%$13,0483.44%3.27%0.20%
201033.83%$15,786-0.08%$13,0376.40%-0.44%-0.08%
201043.51%$16,3401.06%$13,1752.18%5.88%1.06%
20105-3.86%$15,7100.87%$13,290-7.88%3.05%0.87%
20106-2.60%$15,3011.61%$13,504-5.83%2.36%1.61%
201072.00%$15,6070.94%$13,6317.02%-5.09%0.94%
20108-0.69%$15,4991.48%$13,833-4.71%5.71%1.48%
201097.53%$16,666-0.01%$13,8319.45%4.78%-0.01%
2010103.89%$17,3140.36%$13,8814.03%3.68%0.36%
2010111.15%$17,513-0.57%$13,8020.51%2.11%-0.57%
2010125.14%$18,413-1.15%$13,6446.96%2.44%-1.15%
20111-1.07%$18,2160.08%$13,6552.05%-6.38%0.08%
201124.50%$19,0360.16%$13,6773.70%6.00%0.16%
201130.84%$19,195-0.01%$13,6770.42%1.60%-0.01%
201145.06%$20,1661.32%$13,8572.90%8.94%1.32%
20115-1.33%$19,8981.30%$14,037-1.06%-1.79%1.30%
20116-2.03%$19,494-0.39%$13,983-1.79%-2.43%-0.39%
201171.66%$19,8181.58%$14,203-2.27%8.42%1.58%
201181.11%$20,0391.46%$14,411-6.09%12.27%1.46%
20119-9.09%$18,2170.89%$14,540-7.57%-11.06%0.89%
2011109.02%$19,8610.16%$14,56311.37%5.87%0.16%
2011110.47%$19,954-0.30%$14,519-0.37%1.67%-0.30%
201112-3.90%$19,1761.08%$14,6750.98%-10.66%1.08%
201217.41%$20,5980.87%$14,8035.07%11.40%0.87%
201221.46%$20,899-0.05%$14,7964.22%-2.96%-0.05%
201231.45%$21,202-0.58%$14,7103.06%-1.32%-0.58%
20124-0.46%$21,1041.14%$14,878-0.64%-0.15%1.14%
20125-6.27%$19,7820.95%$15,019-6.23%-6.34%0.95%
201263.45%$20,4640.04%$15,0244.05%2.35%0.04%
201270.86%$20,6401.39%$15,2320.88%0.84%1.39%
201283.49%$21,3610.03%$15,2372.70%4.94%0.03%
201293.27%$22,0610.11%$15,2532.49%4.67%0.11%
201210-2.22%$21,5710.11%$15,270-1.81%-2.94%0.11%
2012110.33%$21,6410.19%$15,3000.77%-0.47%0.19%
201212-0.04%$21,632-0.20%$15,2691.29%-2.43%-0.20%
201313.23%$22,330-0.71%$15,1605.42%-0.51%-0.71%
20132-0.99%$22,1090.54%$15,2421.28%-5.09%0.54%
201332.92%$22,7550.08%$15,2553.95%0.95%0.08%
20134-1.47%$22,4210.91%$15,3941.61%-7.56%0.91%
20135-0.28%$22,359-1.71%$15,1312.44%-6.20%-1.71%
20136-4.28%$21,402-1.65%$14,881-1.43%-11.06%-1.65%
201376.21%$22,7310.20%$14,9105.75%7.43%0.20%
20138-0.74%$22,562-0.64%$14,815-3.03%5.20%-0.64%
201391.34%$22,8650.96%$14,9573.90%-4.78%0.96%
2013102.99%$23,5490.78%$15,0734.27%-0.34%0.78%
2013110.50%$23,667-0.35%$15,0212.70%-5.51%-0.35%
2013121.09%$23,924-0.65%$14,9242.73%-3.79%-0.65%
20141-0.73%$23,7491.54%$15,154-3.17%3.42%1.54%
201425.41%$25,0330.48%$15,2274.87%6.27%0.48%
20143-0.91%$24,805-0.15%$15,2040.51%-3.14%-0.15%
201440.23%$24,8610.77%$15,3210.06%0.49%0.77%
201450.14%$24,8951.05%$15,4822.10%-3.05%1.05%
201463.99%$25,8880.11%$15,4992.62%6.32%0.11%
20147-2.61%$25,212-0.26%$15,459-1.99%-3.63%-0.26%
201482.74%$25,9041.13%$15,6344.15%0.38%1.13%
20149-3.59%$24,975-0.72%$15,520-2.10%-6.18%-0.72%
2014100.69%$25,1470.94%$15,6672.75%-3.05%0.94%
2014111.47%$25,5160.65%$15,7692.48%-0.49%0.65%
2014120.41%$25,6210.09%$15,783-0.04%1.31%0.09%
201511.49%$26,0032.31%$16,148-2.74%8.69%2.31%
201521.13%$26,296-1.08%$15,9735.74%-5.91%-1.08%
20153-1.52%$25,8950.41%$16,038-1.16%-2.15%0.41%
201540.33%$25,981-0.36%$15,9800.62%-0.17%-0.36%
201551.03%$26,247-0.45%$15,9081.30%0.56%-0.45%
20156-1.62%$25,823-1.01%$15,748-1.67%-1.52%-1.01%
20157-1.32%$25,4820.76%$15,8671.70%-6.62%0.76%
20158-2.72%$24,788-0.36%$15,811-6.09%3.71%-0.36%
20159-2.51%$24,1650.76%$15,931-2.92%-1.80%0.76%
2015105.83%$25,5750.01%$15,9337.91%2.28%0.01%
201511-2.02%$25,058-0.27%$15,8900.60%-6.75%-0.27%
201512-1.56%$24,667-0.38%$15,830-2.13%-0.45%-0.38%
20161-1.60%$24,2721.43%$16,056-5.72%5.41%1.43%
201624.33%$25,3220.66%$16,162-0.01%10.93%0.66%
201633.76%$26,2730.94%$16,3157.11%-0.84%0.94%
201642.45%$26,9170.38%$16,3760.66%5.11%0.38%
20165-1.52%$26,5090.01%$16,3791.73%-6.14%0.01%
201663.70%$27,4891.94%$16,6960.27%8.97%1.94%
201673.15%$28,3550.64%$16,8033.98%1.98%0.64%
20168-1.21%$28,012-0.17%$16,7750.21%-3.26%-0.17%
201690.40%$28,124-0.09%$16,7600.21%0.69%-0.09%
201610-2.49%$27,423-0.81%$16,625-2.19%-2.94%-0.81%
201611-0.65%$27,245-2.64%$16,1864.49%-8.36%-2.64%
2016120.55%$27,3940.24%$16,2251.98%-1.91%0.24%
201713.17%$28,2630.29%$16,2731.86%5.42%0.29%
201723.50%$29,2530.66%$16,3813.69%3.18%0.66%
20173-0.13%$29,216-0.07%$16,3690.06%-0.43%-0.07%
201741.31%$29,5990.76%$16,4941.06%1.73%0.76%
201750.58%$29,7720.67%$16,6041.01%-0.12%0.67%
20176-0.21%$29,7080.01%$16,6070.95%-2.16%0.01%
201772.04%$30,3140.39%$16,6711.88%2.31%0.39%
201781.64%$30,8110.85%$16,8130.15%4.20%0.85%
201790.25%$30,887-0.54%$16,7232.44%-3.37%-0.54%
2017101.11%$31,2290.11%$16,7422.17%-0.75%0.11%
2017112.07%$31,877-0.17%$16,7133.03%0.36%-0.17%
2017121.49%$32,3530.44%$16,7871.16%2.11%0.44%
201814.49%$33,806-1.09%$16,6035.23%3.23%-1.09%
20182-3.14%$32,743-1.03%$16,433-3.76%-2.08%-1.03%
20183-1.00%$32,4160.63%$16,536-1.95%0.63%0.63%
20184-0.08%$32,391-0.83%$16,3980.45%-0.95%-0.83%
201851.26%$32,8000.61%$16,4982.72%-1.20%0.61%
20186-0.87%$32,5160.03%$16,5030.70%-3.61%0.03%
201871.35%$32,9570.03%$16,5093.32%-2.24%0.03%
201881.53%$33,4620.52%$16,5943.43%-2.14%0.52%
20189-0.09%$33,434-0.54%$16,5040.20%-0.66%-0.54%
201810-4.30%$31,996-0.73%$16,383-7.41%2.12%-0.73%
2018111.43%$32,4540.53%$16,4692.01%0.34%0.53%
201812-4.30%$31,0581.80%$16,766-9.16%4.94%1.80%
201916.45%$33,0611.01%$16,9348.54%2.89%1.01%
201922.07%$33,745-0.06%$16,9243.56%-0.61%-0.06%
201930.37%$33,8691.96%$17,2551.42%-1.60%1.96%
201942.36%$34,6670.04%$17,2623.93%-0.66%0.04%
20195-3.73%$33,3741.83%$17,578-6.45%1.76%1.83%
201967.40%$35,8441.15%$17,7817.08%8.00%1.15%
201970.92%$36,1730.23%$17,8211.41%0.01%0.23%
201981.41%$36,6822.78%$18,317-2.08%7.91%2.78%
20199-0.14%$36,630-0.60%$18,2081.78%-3.39%-0.60%
2019102.27%$37,4610.21%$18,2472.11%2.56%0.21%
2019111.27%$37,936-0.06%$18,2353.79%-3.21%-0.06%
2019123.10%$39,111-0.15%$18,2082.80%3.66%-0.15%
202011.63%$39,7472.11%$18,593-0.06%4.50%2.11%
20202-5.20%$37,6811.71%$18,911-8.00%-0.64%1.71%
20203-8.45%$34,496-0.59%$18,800-13.91%-0.22%-0.59%
2020410.58%$38,1461.69%$19,11813.13%7.26%1.69%
202054.21%$39,7530.54%$19,2215.40%2.59%0.54%
202062.48%$40,7380.70%$19,3552.29%2.74%0.70%
202077.84%$43,9331.55%$19,6565.74%10.79%1.55%
202083.93%$45,660-1.02%$19,4547.10%-0.32%-1.02%
20209-3.80%$43,9240.08%$19,469-3.54%-4.17%0.08%
202010-1.37%$43,324-0.61%$19,350-1.95%-0.52%-0.61%
2020114.71%$45,3671.11%$19,56511.80%-5.41%1.11%
2020125.55%$47,8830.15%$19,5954.68%7.01%0.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth31.32%1.49%
Mid-cap Value14.32%0.00%
Mid-cap Growth2.75%0.47%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets19.16%1.76%
Corporate Bonds0.00%15.70%
Long-Term Treasuries0.00%3.61%
Intermediate-Term Treasuries32.45%26.28%
Short-Term Treasuries0.00%50.70%
R Squared79.13%90.89%
Style analysis is based on monthly returns from April 2005 to December 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend63.00%1.20%0.03%24.25$26,84667.28%
GLDSPDR Gold SharesCommodities Focused37.00%0.40%$11,03632.72%
100.00%0.76%0.17%24.25$37,883100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond100.00%1.83%0.15%6.79$9,595100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.87%0.35%
Arithmetic Mean (annualized)11.00%4.33%
Geometric Mean (monthly)0.81%0.35%
Geometric Mean (annualized)10.23%4.27%
Volatility (monthly)3.42%0.94%
Volatility (annualized)11.85%3.27%
Downside Deviation (monthly)2.11%0.48%
Max. Drawdown-29.05%-3.99%
US Market Correlation0.83-0.00
Beta(*)0.64-0.00
Alpha (annualized)3.64%4.25%
R268.72%0.00%
Sharpe Ratio0.780.91
Sortino Ratio1.241.63
Treynor Ratio (%)14.38-10,108.04
Calmar Ratio1.062.20
Active Return0.32%-5.63%
Tracking Error8.60%15.65%
Information Ratio0.04-0.36
Skewness-0.640.10
Excess Kurtosis3.531.00
Historical Value-at-Risk (5%)-3.94%-1.05%
Analytical Value-at-Risk (5%)-4.77%-1.20%
Conditional Value-at-Risk (5%)-6.85%-1.57%
Upside Capture Ratio (%)69.138.11
Downside Capture Ratio (%)54.71-12.95
Safe Withdrawal Rate9.70%7.00%
Perpetual Withdrawal Rate7.12%2.11%
Positive Periods120 out of 193 (62.18%)127 out of 193 (65.80%)
Gain/Loss Ratio1.211.39
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-29.05%-3.99%
COVID-19 StartJan 2020Mar 2020-13.21%-0.59%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-29.05%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-13.21%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.67%
4Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-8.13%
5Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-8.10%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.70%
7May 2010Jun 20102 monthsSep 20103 months5 months-6.36%
8Apr 2013Jun 20133 monthsSep 20133 months6 months-5.94%
9Sep 2020Oct 20202 monthsDec 20202 months4 months-5.11%
10May 2006Jun 20062 monthsNov 20065 months7 months-4.26%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-3.99%
2May 2013Aug 20134 monthsMay 20149 months1 year 1 month-3.76%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.67%
4Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.56%
5Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.48%
6Sep 2005Oct 20052 monthsAug 200610 months1 year-1.90%
7Nov 2010Dec 20102 monthsMay 20115 months7 months-1.71%
8Dec 2009Dec 20091 monthFeb 20102 months3 months-1.68%
9Aug 2020Oct 20203 months-1.55%
10May 2007Jun 20072 monthsAug 20072 months4 months-1.16%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF10.02%15.31%33.45%-36.98%-50.84%0.620.911.00
GLDSPDR Gold Shares8.92%17.36%30.45%-28.33%-42.91%0.510.830.06
VBMFXVanguard Total Bond Market Index Inv4.27%3.27%8.61%-2.26%-3.99%0.911.63-0.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIGLDVBMFXPortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF1.000.06-0.000.83-0.00
GLDSPDR Gold Shares0.061.000.390.610.39
VBMFXVanguard Total Bond Market Index Inv-0.000.391.000.221.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF$26,846
GLDSPDR Gold Shares$11,036
VBMFXVanguard Total Bond Market Index Inv$9,595

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTIVanguard Total Stock Market ETF67.28%
GLDSPDR Gold Shares32.72%
VBMFXVanguard Total Bond Market Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.42%40.11%-28.76%4.34%13.83%-2.77%
3 years8.97%24.32%-2.61%4.11%8.82%0.87%
5 years9.15%18.14%5.36%4.09%6.83%1.27%
7 years9.18%12.86%6.12%3.99%6.00%1.70%
10 years9.19%11.99%7.38%4.02%5.01%3.31%
15 years9.72%10.45%8.70%4.27%4.44%4.01%